Arbeitspapier
Identifying the Interdependence Between Us Monetary Policy and the Stock Market
We estimate the interdependence between US monetary policy and the S&P 500 using structural VAR methodology. A solution is proposed to the simultaneity problem of identifying monetary and stock price shocks by using a combination of short-run and long-run restrictions that maintains the qualitative properties of a monetary policy shock found in the established literature (Christiano et al., 1999). We find great interdependence between interest rate setting and real stock prices. Real stock prices immediately fall by 7-9 percent due to a monetary policy shock that raises the federal funds rate by 100 basis points. A stock price shock increasing real stock prices by one percent leads to an increase in the interest rate of close to 4 basis points.
- ISBN
-
978-82-7553-431-4
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2008/4
- Klassifikation
-
Wirtschaft
Policy Objectives; Policy Designs and Consistency; Policy Coordination
Monetary Policy
Interest Rates: Determination, Term Structure, and Effects
- Thema
-
VAR
monetary policy
asset prices
identification
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bjørnland, Hilde C.
Leitemo, Kai
- Ereignis
-
Veröffentlichung
- (wer)
-
Norges Bank
- (wo)
-
Oslo
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bjørnland, Hilde C.
- Leitemo, Kai
- Norges Bank
Entstanden
- 2008
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